State-Constrained Stochastic Optimal Control Problems via Reachability Approach

DOI10.1137/15M1023737zbMath1348.49015OpenAlexW2411640870MaRDI QIDQ2822794

Olivier Bokanowski, Athena Picarelli, Hasnaa Zidani

Publication date: 5 October 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1023737

zbMATH Keywords

state constraintsviscosity solutionstochastic optimal controlHamilton-Jacobi equationsstochastic target problems

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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